(no subject)

[ny_quant]

Продал тонну путов на $30 нефть. Волатильность тоже продал, полагаю что кризис в основном закончился. Надо полагать, завтра он возобновится.

Comments

[ny-quant.livejournal.com]

Possibly an exercise in self-deception but the steps are as follows

1. For each day, compute dF=F2-F1 (two nearest VIX futures), dVIX (change in VIX) and change in the value of XIV since yesterday, dXIV.

2. Run a linear regression dXIV against dVIX over last 2 months.

3. Compute excess return of dXIV every day vs. exact linear dependence on VIX.

4. Compute moving averages of those excess returns and dF

5. Compute correlations of those MAs


Result: the correlation had a few dips (once into deep negative) but mostly stays to the North of 70%. Didn’t really think much. Just wanted to back up my idea that positive dF gives a boost to XIV.

[stumari.livejournal.com]

вроде кривая "выпрямилась" и начала вывозить, куда надо,
посмотрим...

[ny-quant.livejournal.com]

По-моему вчера обратно пошла.

[stumari.livejournal.com]

это я был, на айПеде разлогиненый